Bank Asset Quality in Emerging Markets: Determinants and Spillovers
By R. D. Bock, A. Demyanets. Social Science Research Network, 2012
185 citations recorded by the source corpus.
This paper assesses the vulnerability of emerging markets and their banks to aggregate shocks. We find significant links between banks’ asset quality, credit and macroeconomic aggregates. Lower economic growth, an exchange rate depreciation, weaker terms of trade and a fall in debt-creating capital inflows reduce credit growth while loan quality deteriorates. Particularly noteworthy is the sharp deterioration of balance sheets following a reversal of portfolio inflows. We also find evidence of feedback effects from the financial sector on the wider economy. GDP growth falls after shocks that drive non-performing loans higher or generate a contraction in credit. This analysis was used in chapter 1 of the Global Financial Stability Report (September 2011) to help evaluate the sensitivity of banks’ capital adequacy ratios to macroeconomic and funding cost shocks.
Subfields: Finance
View Paper: https://www.semanticscholar.org/paper/278fa046d3be6686466ad5027663b329ab4fef48
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Finance
- Maja Jandrić
- Svetozar Tanasković
- A. Alhassan
- A. Kyereboah-Coleman
- N. Klein
- Vasiliki Makri
- Charles Andoh
- A. Bellas
Citations in the corpus
- Macroeconomic and Institutional Determinants of Non-performing Loans (2015, methodology): “De Bock & Demyanets (2012) used the structural VAR analysis and their results also indicate the presence of significant feedback effects from the financial sector on the real economy.”
- Asset quality in a crisis period: An empirical examination of Ghanaian banks (2014, background): “De Bock and Deymyanets (2012) assessed the inkages between banks’ asset quality and macroeconomic facors in 25 emerging banking markets5 from 2006 to 2010.”
- Non-Performing Loans in CESEE: Determinants and Impact on Macroeconomic Performance (2013, background): “21 This ordering is close in spirit to De Bock and Demyanets (2012).”
- Determinants of Non-Performing Loans: The Case of Eurozone (2014, result): “The choice of this estimation is also in line with the empirical investigations of Ga-briel Jimenez and Jesus Saurina (2006), Louzis, Vouldis, and Metaxas (2010) and De Bock and Demyanets (2012).”